Abhishek works with clients offering research insights and thought leadership on global investing and asset allocation issues. He is also responsible for conducting quantitative research on MSCI benchmark, factor and ESG indexes. Previously, Abhishek was a member of the risk management group at Morgan Stanley and ICICI Bank. He has a postgraduate degree in Management from NITIE and is a CFA charterholder.
Research and Insights
Articles by Abhishek Gupta
Sizing Up Small Caps6 mins read Blog | Aug 16, 2021 |
Given small-cap outperformance since March 2020, investors are asking how these stocks size up in terms of short-term valuation, sentiment and macro outlook? Longer term, might small caps help capture opportunities around thematic investing megatrends?
Momentum on a Value Hunt5 mins read Blog | Jun 2, 2021 |
Momentum, by definition, rotates into securities with recent outperformance. That said, investors who view value and momentum as contra-signals may have questions about the value-momentum convergence and the divergence of momentum and growth.
What Really Drove Value and Growth Fund Performance?5 mins read Blog | May 14, 2021 |
Many look to market-cap indexes when comparing the performance characteristics of growth and value funds — including manager skill. We found a switch to style indexes reduced industry- and style-factor contributions and made manager skill more apparent.
Factor Investing Held in High-Volatility/-Concentration Period5 mins read Blog | Apr 23, 2021 |
U.S. equity markets have experienced increased volatility coupled with concentration in a handful of megacap companies. Has this hampered investors’ ability to capture factors effectively? Have stock-specific risks dominated factor indexes?
Are Growth and Value Indexes Still in Style?5 mins read Blog | Mar 9, 2021 |
Growth and value indexes were created in the 1980s as finer tools than market-cap indexes to measure the performance of growth and value funds. Are style-specific indexes still a relevant choice to use as benchmarks for these funds?
How Portfolio-Weighting Schemes Affected Factor Exposures6 mins read Blog | Oct 15, 2020 |
Single-factor portfolios seek high exposure to a target factor and limited exposure to non-target ones. We assess the impact that common portfolio weighting schemes have on these exposures, as well as on portfolio efficiency, concentration and investability.
How to Describe a Factor5 mins read Blog | Sep 10, 2020 |
How to define a factor? It’s a challenge for asset owners and wealth managers in evaluating how well factor products meet investment objectives. We found an improved and more robust measure can be formed by combining multiple descriptors.
Index Rebalancing During High Volatility: A Balancing ActBlog | May 13, 2020 |
Significant volatility during COVID-19 highlights a need for index reconstitution, but some may worry about trading costs and excess turnover. We investigate the balance between appropriate market representation and avoiding high index turnover.
Can diversification help weather the coronavirus storm?Blog | Apr 16, 2020 |
Whether investors include a tactical approach or invest strategically for the long term, diversifying across factors, sectors and geographies has historically played an important role in portfolio construction.
Value investing is down. But is it out?Blog | Oct 22, 2019 |
Value stocks generally underperformed the broad U.S. equity market over the past decade — just as they did in the late 1990s. What drove that underperformance? Was it consistent globally? Within U.S. sectors?
What Fed monetary policy has meant for factorsBlog | Feb 6, 2019 |
As interest rates in the U.S. started increasing in late 2015, many investors expressed concerns over the impact that rising rates could have on their investments. However, the tone of the U.S. Federal Reserve (the Fed) shifted from “we’re a long way from neutral” in October last year to a more accommodative stance of “we will be patient” early this year, re-emphasizing that expression at the January 2019 Federal Open Market Committee meeting.
Small cap allocations may not be that straightforwardBlog | Nov 20, 2018 |
The low size factor, or the premium that has been historically realized by investing in smaller sized companies over longer time periods, forms an integral component of many institutional portfolios. However, investors can choose different ways to making a low size allocation.
How can Factors be Combined?Report | Jun 4, 2018 |
Making allocations to individual factors typically requires strong investment beliefs, as factor returns have been cyclical in nature. When weighing the pros and cons of different multi-factor indexed approaches, institutional investors often evaluate both bottom-up or top-down options. We consider the attractions of both, using a bottom-up approach to build a multi-factor index from stocks that are favorably exposed to the value, size, quality and momentum factors, compared with an...
Evaluating Opportunities in Active ManagementReport | May 17, 2018 |
Despite institutional investors, globally, continuing to allocate funds to indexed strategies, active management remains attractive across various products and geographies. The ability to select skilled managers in opportune markets who can add value beyond a indexed investment tracking an index, may justify the case for active implementation. We analyze different segments of the equity markets to find the intersection of those that have provided the greatest opportunity and where managers...
Research Insight - Riding on MomentumReport | Dec 15, 2015 |
Momentum, the tendency of past winners to continue to do well in the near future, is used widely in risk models, quantitative strategies and, more recently, as the basis for factor indexes aiming to replicate the performance of this pervasive factor. But the academic definition of momentum is extremely difficult to implement because it tends to lead to high volatility exposure and excessive portfolio turnover. Our approach involves selecting securities based on risk-adjusted performance and...
Research Spotlight - Finding Value: Understanding Factor InvestingReport | Jul 9, 2015 |
The perennial appeal of value investing is based on the excellent long-term performance of global value stocks. Investors today use various approaches to identify and compare the exposure of stocks with "value" characteristics that help explain risk and return. In this Research Spotlight, we create a common definition of “value” and examine how value strategies can be implemented, in both active and passive portfolios, using three generations of value indexes as examples.
Finding Value: Understanding Factor InvestingReport | Jul 9, 2015 |
The perennial appeal of value investing is based on the excellent long-term performance of global value stocks. Investors today use various approaches to identify the exposure of stocks with “value” characteristics that help explain risk and return. In this Research Insight, we create a common definition of “value” and examine how value strategies can be implemented, in both active and passive portfolios, using three generations of value indexes as examples.
Economic Exposure in Global InvestingReport | Oct 30, 2014 |
Market capitalization-based indexes classify companies based on their country or region of domicile. This approach, however, does not reflect the sources of constituent’s revenues. In this paper, we show that the performance of companies is sensitive to the economies from which they derive their revenues, presenting potential opportunities for institutional investors. We discuss how investors can better understand their global, regional and country risk exposures, achieve global...
Research Spotlight - Understanding Macroeconomic Risk and its Impact on Asset Allocation - October 2014Report | Oct 2, 2014 |
Starting in 2012, MSCI Research began exploring the impact of macroeconomic events on asset valuation and strategic asset allocation. The white papers summarized in this Research Spotlight provide the core findings in a continuing series, and are the basis of our growing suite of ‘macro models.’ For each paper you will find the full title, the credited authors, a short abstract, and a quick hyperlink to the full publication in our Research Library.
The MSCI Quality Mix IndexesReport | Jul 15, 2014 |
Factor-based investing has become a widely discussed topic of today's investment canon. In this paper - which is the last delivery of a four-paper series focusing on factor investing - we discuss the combinations of Factor Indexes taking as an example the MSCI Quality Mix Index.The MSCI Quality Mix Index is an equal weighted combination of the MSCI Quality, Value and Minimum Volatility Indexes. Academic research shows that quality, value and low volatility strategies have not only...
Index Performance in Changing Economic EnvironmentsReport | Jul 15, 2014 |
Over the recent years, the impact of the macroeconomic regime on their investments has grown in importance for institutional investors. As a result, institutional investors have started explicitly accounting for macroeconomic conditions in their asset allocation decisions.This paper attempts to provide a framework for designing macro-sensitive portfolios, building on historical analysis using our 40+ years' history of MSCI Factor and Sector Indexes, and a long-term analysis based on the...
Harvesting Risk Premia for Large Scale PortfoliosReport | Jul 15, 2014 |
An accumulating body of empirical research has found positive gross excess returns from exposure to risk factors (or risk premia). Our study was commissioned by the Norwegian Ministry of Finance to explore factor strategies, through the lens of risk premia indices, for large funds. The paper examines equity risk premia, such as value, size, low volatility and momentum, focusing on return, risk, and investability. For portfolios of large scale, we construct risk premia indices which have...